Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 2 1
Score -5.5 -3.63 -8.12
Market Cap (Millions USD) 655.38 537.27 561.31
Predicted Beta -0.07 -0.09 -0.06
Idiosyncratic Volatility 3.37 3.18 4.54

Annualized return and volatility

EWW
Annualized Return 0.0670
Annualized Std Dev 0.2799
Annualized Sharpe (Rf=0%) 0.2393

Row

Daily Return Statistics

EWW
Observations 5111.0000
NAs 2.0000
Minimum -0.1241
Quartile 1 -0.0086
Median 0.0003
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0096
Maximum 0.2149
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0176
Skewness 0.2188
Kurtosis 9.0302

Downside Risk

EWW
Semi Deviation 0.0125
Gain Deviation 0.0126
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0123
Downside Deviation (0%) 0.0123
Maximum Drawdown 0.6494
Historical VaR (95%) -0.0266
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0243
Modified ES (95%) -0.0254
From Trough To Depth Length To Trough Recovery
2007-07-09 2009-03-09 2010-12-13 -0.6494 882 431 451
2013-04-12 2018-11-26 NA -0.4534 1719 1443 NA
2000-03-10 2003-02-12 2004-01-07 -0.4086 980 748 232
2006-05-10 2006-06-13 2006-10-05 -0.2807 106 24 82
2011-05-02 2011-09-22 2012-04-02 -0.2601 236 101 135

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWW
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.4 2.5 0.0 -1.9 2.9 0.0 0.8 1.5 0.0 -2.8 -0.4 0.0 2.8
2001 -1.6 1.0 0.0 0.0 1.7 0.0 -0.4 0.0 0.4 2.9 0.0 0.0 4.1
2002 -2.1 1.7 -0.5 -0.3 0.0 -2.7 -3.2 0.0 4.7 1.9 0.0 0.0 -0.6
2003 0.0 0.0 2.0 0.0 0.0 1.9 -0.4 0.0 1.2 0.0 2.1 0.0 7.0
2004 0.0 3.1 0.4 0.0 -1.6 0.1 0.0 0.4 2.1 0.9 1.6 0.0 7.1
2005 2.0 -0.1 0.5 0.0 1.5 0.4 2.0 1.9 0.0 0.8 2.5 0.0 12.0
2006 0.7 2.4 0.0 0.5 3.4 0.0 -0.8 1.5 0.0 -0.4 -1.0 0.0 6.4
2007 1.8 -0.9 0.0 0.0 2.0 0.0 -1.0 0.0 1.8 -3.0 0.0 0.0 0.7
2008 2.4 0.0 4.6 0.2 0.0 -1.9 -0.6 0.0 -0.1 0.0 -7.1 0.0 -2.8
2009 0.0 0.0 2.5 2.1 2.7 0.9 0.0 -3.5 -3.3 0.0 3.6 0.0 4.9
2010 2.4 0.9 1.0 0.0 -1.6 -0.3 0.0 3.0 1.7 0.6 1.5 0.0 9.3
2011 2.8 -1.2 1.4 0.0 -2.5 1.1 -0.6 -0.2 0.0 -3.3 -0.6 0.0 -3.2
2012 1.8 1.7 0.0 0.9 -1.5 0.0 -0.4 0.0 1.1 1.1 0.0 0.0 4.7
2013 1.8 0.0 -0.7 -1.6 0.0 1.1 2.4 0.0 2.4 0.4 0.0 0.0 6.0
2014 0.0 0.0 0.0 0.9 0.0 0.6 0.7 0.0 -1.6 0.0 -2.4 0.0 -1.9
2015 0.0 0.0 1.7 -0.5 -0.6 -0.6 0.0 -3.0 -0.2 0.0 1.5 0.0 -1.8
2016 -0.6 2.9 0.0 0.0 -0.2 0.3 -0.3 0.5 0.0 -2.8 -1.9 0.0 -2.2
2017 0.2 2.6 0.0 0.6 1.0 0.0 -0.1 0.5 0.0 -0.5 0.5 0.0 4.9
2018 1.8 0.5 0.0 -1.3 0.7 0.0 -0.5 0.0 0.7 4.2 0.0 0.0 6.1
2019 -0.3 -0.6 2.3 -1.0 0.0 1.1 -1.3 0.0 -0.8 1.9 0.0 -0.4 0.8

Row

Rolling Performance Chart

Snail Trail Chart